Evaluation of LMP Intervals Considering Wind Uncertainty

Step changes in the curve of locational marginal prices (LMP) under load variation have been known characteristics given its present formulation. Identifying LMP intervals under wind uncertainty is important for market participants to assess and mitigate their risks when price forecast is needed. This work proposes a bi-level optimization model to calculate the LMP intervals under wind uncertainty without the repetitive Monte Carlo (MC) simulation. The specific bus LMP maximization (or minimization) is the upper level problem, while the ISO’s economic dispatch is the lower level problem. Case studies are presented to demonstrate the proposed methodology.